I have tried this:

receivers:
  otlp:
    protocols:
      grpc:
      http:

processors:
  batch:

exporters:
  azuremonitor:
    instrumentation_key: "<Your_Instrumentation_Key>"

service:
  pipelines:
    metrics:
      receivers: [otlp]
      processors: [batch]
      exporters: [azuremonitor]
    traces:
      receivers: [otlp]
      processors: [batch]
      exporters: [azuremonitor]
    logs:
      receivers: [otlp]
      processors: [batch]
      exporters: [azuremonitor]
  telemetry:
    logs:
      level: debug

Docker run:

OpenTelemetryTest % docker run -p 4317:4317 -p 4318:4318 --rm -v /Users/locdaile/Desktop/collector-config.yaml:/etc/otelcol/config.yaml otel/opentelemetry-collector

When I run the docker with this configuration I get this error:

* error decoding 'exporters': unknown type: "azuremonitor" for id: "azuremonitor" (valid values: [otlphttp opencensus prometheus prometheusremotewrite zipkin debug logging nop otlp file kafka])

So I’m a little loss on how to export to Azure Application Insights.